A Grey Caprice has a smooth, conical body that is a dark shade of grey, bordering on black, and has a Heartless emblem is emblazoned on its chest. The top of its body flares outward and forms a jagged "collar" below the Heartless's spherical, pitch black head. It also wears a conical, olive green hat that is turquoise on the inside and has a jagged brim, a black and gray band, and a thin, curled tip. Like many Heartless, the Grey Caprice has glowing yellow eyes. Its seemingly useless feet sport three small, thin toes.

Like other Heartless in its family, the Grey Caprice's name refers to a color—in this case, grey—and a musical term—in this case, caprice. A "caprice" is another word for "capriccio" which is a lively piece composed freely and without adhering to the rules for any specific musical form.

Grey Caprices are quite easy to eliminate, but they will fire space balls of energy that causes it and the player to switch places when they make contact. They also can perform short-range headbutts, but these can be guarded against with Block.

Aerial combos are highly recommended for use in terms of defeating them, but magic is also very effective. The balls of space energy Grey Caprices fire can also be avoided with a well-timed Dodge Roll.